Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.0411 |
| Annualized Std Dev | 0.1346 |
| Annualized Sharpe (Rf=0%) | 0.3050 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 2899.0000 |
| NAs | 1.0000 |
| Minimum | -0.0727 |
| Quartile 1 | -0.0044 |
| Median | 0.0004 |
| Arithmetic Mean | 0.0002 |
| Geometric Mean | 0.0002 |
| Quartile 3 | 0.0049 |
| Maximum | 0.1227 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | -0.0001 |
| UCL Mean (0.95) | 0.0005 |
| Variance | 0.0001 |
| Stdev | 0.0085 |
| Skewness | 0.6702 |
| Kurtosis | 20.9674 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0060 |
| Gain Deviation | 0.0060 |
| Loss Deviation | 0.0059 |
| Downside Deviation (MAR=210%) | 0.0113 |
| Downside Deviation (Rf=0%) | 0.0059 |
| Downside Deviation (0%) | 0.0059 |
| Maximum Drawdown | 0.2340 |
| Historical VaR (95%) | -0.0127 |
| Historical ES (95%) | -0.0184 |
| Modified VaR (95%) | -0.0085 |
| Modified ES (95%) | -0.0085 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2012-12-11 | 2013-09-05 | 2019-08-14 | -0.2340 | 1680 | 185 | 1495 |
| 2020-03-09 | 2020-03-18 | 2020-04-24 | -0.2260 | 34 | 8 | 26 |
| 2010-11-03 | 2011-02-10 | 2011-07-29 | -0.1330 | 186 | 69 | 117 |
| 2020-08-05 | 2021-03-18 | NA | -0.1185 | 158 | 156 | NA |
| 2019-08-30 | 2019-09-13 | 2020-01-31 | -0.0731 | 106 | 10 | 96 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2009 | NA | NA | NA | NA | NA | NA | NA | NA | 0.5 | 0.8 | -0.7 | 0 | 0.6 |
| 2010 | 0 | -0.3 | 0.2 | 0 | 0.1 | -0.8 | 0.7 | -1.3 | 0.3 | 0.2 | -1.3 | 1.2 | -1 |
| 2011 | 0.2 | 0.5 | 0.7 | 0 | 1.2 | 0 | 0.7 | 1.9 | 0 | 2.6 | -0.2 | -0.1 | 7.6 |
| 2012 | -0.3 | -1 | -1.3 | -0.2 | 2.2 | -1.5 | -0.1 | 0.8 | 0.4 | -0.3 | 0.2 | -1.5 | -2.6 |
| 2013 | -1.2 | 0.6 | 0.5 | 0.4 | -0.2 | 0.3 | -1.6 | -0.8 | -0.1 | -1.2 | -0.3 | -0.6 | -4.3 |
| 2014 | 0.5 | 0.3 | -0.7 | 1.5 | -0.4 | -1.2 | 0.8 | -0.6 | 2.3 | -0.3 | -0.6 | 1.2 | 3 |
| 2015 | 2 | 0.9 | 1.9 | -1.2 | -1.3 | -1.3 | 0.3 | -0.5 | 1.3 | 1 | 1.1 | 0.4 | 4.6 |
| 2016 | -0.3 | -0.7 | 0.4 | 0.4 | 0 | 1.8 | -1.5 | -0.1 | -0.2 | -0.1 | -1.4 | 0.8 | -0.9 |
| 2017 | -0.8 | -1.5 | 0.7 | -1.5 | -0.2 | -0.6 | 0.3 | -0.6 | -0.2 | 0.1 | 1.2 | 0.5 | -2.7 |
| 2018 | -1.4 | 0.8 | 0.7 | -1.1 | -0.5 | 0 | -1 | -0.6 | -1 | -0.6 | 0.4 | -0.1 | -4.4 |
| 2019 | -0.7 | -0.4 | -1.1 | -0.2 | 1.6 | -0.9 | 0.4 | -0.8 | 0.1 | 0.3 | -0.8 | -0.5 | -3 |
| 2020 | 1.2 | 0.8 | 2.2 | 0 | -0.1 | 0.1 | 0.7 | 0.4 | 0 | -1.2 | -0.8 | 0.6 | 3.9 |
| 2021 | -0.6 | -1.7 | 1.1 | NA | NA | NA | NA | NA | NA | NA | NA | NA | -1.2 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2009-09-08 50.1 SPY 103. 0.0086 0.0047 0.0172 0.0877 -0.189 -0.211 -0.0879 GLD 97.4 -0.001 0.0431
2 2009-09-09 50.1 SPY 104. 0.0077 0.0352 0.0271 0.0988 -0.158 -0.202 -0.0786 GLD 97.1 -0.0036 0.0339
3 2009-09-10 50.6 SPY 105. 0.0102 0.0498 0.0507 0.105 -0.153 -0.196 -0.0684 GLD 97.7 0.0064 0.0157
4 2009-09-11 50.8 SPY 105. -0.0002 0.0409 0.0394 0.102 -0.165 -0.197 -0.0733 GLD 98.8 0.0111 0.0135
5 2009-09-14 50.4 SPY 105. 0.0049 0.0316 0.0365 0.133 -0.165 -0.200 -0.0719 GLD 98.0 -0.0083 0.0044
6 2009-09-15 50.4 SPY 106. 0.0042 0.027 0.0489 0.154 -0.120 -0.200 -0.0699 GLD 98.9 0.00960 0.0151
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
